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GDP mimicking portfolios and the cross-section of stock returns
Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - 2013
explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry … asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book …
Persistent link: https://www.econbiz.de/10010312876
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GDP mimicking portfolios and the cross-section of stock returns
Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry … asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book …
Persistent link: https://www.econbiz.de/10010957652
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Lüders, Erik; Schröder, Michael - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10010297345
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Schröder, Michael; Lüders, Erik - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10010298005
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Lüders, Erik; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10005098117
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Schröder, Michael; Lüders, Erik - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10005098374
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International diversification with securitized real estate and the veiling glare from currency risk
Kroencke, Tim Alexander; Schindler, Felix - 2011
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...
Persistent link: https://www.econbiz.de/10010304326
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - 2011
such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits …
Persistent link: https://www.econbiz.de/10010304454
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits …
Persistent link: https://www.econbiz.de/10009003568
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International diversification with securitized real estate and the veiling glare from currency risk
Kroencke, Tim Alexander; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...
Persistent link: https://www.econbiz.de/10008869221